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Estimating Geweke’s (1982) Measure of Instantaneous Feedback

Stata Journal, Vol. 13, No 1, pp. 136-140, 2013

5 Pages Posted: 15 Sep 2011 Last revised: 29 Aug 2013

Mehmet F. Dicle

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business

John Levendis

Loyola University New Orleans

Date Written: August 13, 2012

Abstract

This note describes the gwke82 program, which implements instantaneous feedback measure for two time series following Geweke (1982).

Keywords: Geweke, Granger, Causality, VAR, Time Series, Instantaneous Feedback

JEL Classification: C1, C13, C3

Suggested Citation

Dicle, Mehmet F. and Levendis, John, Estimating Geweke’s (1982) Measure of Instantaneous Feedback (August 13, 2012). Stata Journal, Vol. 13, No 1, pp. 136-140, 2013. Available at SSRN: https://ssrn.com/abstract=1927519 or http://dx.doi.org/10.2139/ssrn.1927519

Mehmet Dicle (Contact Author)

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business ( email )

6363 St. Charles Avenue
New Orleans, LA 70118
United States

HOME PAGE: http://researchforprofit.com

John Levendis

Loyola University New Orleans ( email )

6363 St. Charles Ave., box 15
New Orleans, LA 70118
United States

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